It's a function of your browser.
If you are using IE browser:
To make those messages show as "read" (by changing color), try this:
On your browser, go to Tools/Internet Options.
In the Browsing History section click "Delete" button.
Then delete Temporary Internet Files and delete History.
If you are using FireFox browser:
Check Tools, Options, Privacy tab, History. Make sure you don't have 0 days selected. You have to have at least 1 set there in order for the links to change color when they're visited.
Try also clearing your browsing history. From the Firefox menu: Tools, Clear Private Data... make sure Browsing History is checked. Uncheck anything else you don't want cleared.